haku: @journal_id 789 / yhteensä: 95
viite: 45 / 95
Tekijä: | Cordella, T. Foucault, T. |
Otsikko: | Minimum price variations, time priority, and quote dynamics |
Lehti: | Journal of Financial Intermediation
1999 : JUL, VOL. 8:3, p. 141-173 |
Asiasana: | Stock markets Securities Prices Models |
Vapaa asiasana: | Dealers |
Kieli: | eng |
Tiivistelmä: | This paper analyzes price competition btw. dealers in security market where the bidding process is sequential. The model provides an interpretation for the evolution of the best ask and bid prices, in btw. transactions. It is found that convergence to the competitive ask and bid prices can take time. The speed of convergence is determined by the frequency of dealers checking their offers and by the tick size. This creates a relationship btw. the expected trading cost and the timing of offers posted by the dealers. There are also more findings reported. |
SCIMA